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The Mega Man Zero series is much darker than the Classic series or even the Mega Man X series of games, because the plot revolves around racist genocide and has one of the biggest monsters in gaming history as the main villain and the one responsible for the Crapsack World the series takes place in... and the games somehow got an E rating.

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Zero 4 also had the climactic final battle being composed of high octane nightmare fuel. For one thing, after Zero arrives at the core reactor of Ragnarok, Dr. Weil not only reveals himself to have survived, but you get a closeup of his face, which shows at least half of his face torn off with a mechanical skull revealing itself while grinning psychotically (as seen above), and he is even heard laughing demonically and maniacally. The fact that "Fate: Theme of Vile" (Dr. Weil's name was Dr. Vile in the Japanese version) is playing in the background also makes it even more tense, and it's even more frightening when hearing Dr. Weil's speech in the radio drama track taken directly from this scene.

Then, after merging with the core, the mood turns even more intense with the use of the song Fractured Border. Even after this form is defeated, the Ragnarok cannot be stopped from crashing, and then, when things couldn't possibly get worse, Weil reveals himself to have survived yet again, coming out of a hole in the floor. It's even more intense in the drama track where you not only hear Weil laugh before he speaks and reveals himself to have survived, but there is even sounds in the background that sounded more similar to a thunderstorm. Then he merges himself even further with Ragnarok with wires forcibly being shoved into him (The Drama Track even has Weil grunting in pain, indicating that the transformation process to be quite painful, and the Japanese version of the game even has it becoming a bloodbath while witnessing the transformation), and his completely merged form with Ragnarok looks even more horrific, with the Official Complete Works even referring to it as a "sinful abomination of a second form."

You know Ax-Crazy Omega from Zero 3? Destroyed 90% of Reploid life and 60% of humanity, and would have done more if he wasn't stopped? That was what Dr. Wily wanted Zero to be. If not for Sigma contracting the virus, it would have happened with the original Zero. Also a rare fusion of Nightmare Fuel and Fridge Horror. Word of God is that they had considered making Omega the personified Maverick Virus, though they didn't make a final decision.

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In Zero 2. The inhumane scream Elpizo make during his transformation can shock you if you're not prepared for it.

Everything about Neo Arcadia. The genocidal dictatorship, the Golems, the Eight Gentle Judges (who are anything but), and the Pantheons (especially the zombie versions) are creepy as heck, and then there's Copy X...

For a more specific example, the 'Retirement Facility' where Reploids deemed outmoded or Mavericks are destroyed. This would be pretty bad, but when you get there, you can see a pile of destroyed components. You're essentially in a robot slaughterhouse that they didn't even bother cleaning up.

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